Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0626 |
| Annualized Std Dev | 0.2051 |
| Annualized Sharpe (Rf=0%) | 0.3050 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4130.0000 |
| NAs | 1.0000 |
| Minimum | -0.1142 |
| Quartile 1 | -0.0053 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1397 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.0781 |
| Kurtosis | 11.0511 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5829 |
| Historical VaR (95%) | -0.0195 |
| Historical ES (95%) | -0.0314 |
| Modified VaR (95%) | -0.0183 |
| Modified ES (95%) | -0.0236 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-17 | 2008-11-20 | 2013-10-18 | -0.5829 | 1578 | 343 | 1235 |
| 2017-01-05 | 2020-03-23 | 2020-08-20 | -0.3365 | 913 | 808 | 105 |
| 2015-04-29 | 2015-09-29 | 2016-03-17 | -0.1476 | 224 | 107 | 117 |
| 2016-07-18 | 2016-11-02 | 2017-01-03 | -0.1402 | 118 | 77 | 41 |
| 2020-09-03 | 2020-09-23 | 2020-11-06 | -0.1121 | 46 | 14 | 32 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 | 0.9 | 1.5 | -0.6 | 2 |
| 2005 | 1 | 0.9 | -0.7 | -0.1 | -0.1 | 0.4 | 0.4 | 0.9 | 0.6 | -0.1 | 1.1 | -0.5 | 3.9 |
| 2006 | 0.5 | 1.1 | 0.2 | 0.2 | 2.5 | 0.8 | -1.2 | 0.6 | 0.6 | -0.5 | -0.2 | 0.2 | 4.9 |
| 2007 | -0.2 | -0.3 | 0.5 | 0.1 | 0 | 0.1 | 0.8 | 0.8 | 1 | -2.7 | 0.5 | -1 | -0.4 |
| 2008 | 1.1 | -3 | 3.3 | 2.8 | 0.2 | -0.9 | -0.8 | -1.1 | -0.1 | 2.8 | -8.1 | 3.4 | -1.1 |
| 2009 | -1.7 | 0.1 | 3.3 | 0.7 | 1.4 | 0.1 | -1 | -2.2 | -2.5 | -2.4 | 2 | -1 | -3.3 |
| 2010 | 0.9 | 0.6 | 0.8 | -0.8 | -1.9 | 0.3 | 0.2 | 2.2 | 0.7 | -0.1 | 1.3 | 0 | 4.2 |
| 2011 | 1.6 | -2 | 0.1 | -0.7 | -1.8 | 1.6 | 0.6 | -1 | -1.6 | -2.3 | -0.5 | 0.7 | -5.3 |
| 2012 | 1 | 0.2 | -0.2 | 0.5 | -2.4 | 1.2 | 0 | 0.3 | 0 | 0.9 | 0.2 | 1.3 | 3.1 |
| 2013 | 1.4 | -0.1 | 0.2 | -1.4 | -1 | -0.2 | 0.6 | -0.9 | 0.7 | -1 | 0 | 0.1 | -1.5 |
| 2014 | -0.1 | -0.8 | 0.9 | 0.7 | 0.3 | 0.5 | -0.6 | 0.5 | -1.6 | 1 | -1.2 | -0.9 | -1.5 |
| 2015 | -1.4 | 0.3 | 1.6 | 0.1 | -0.9 | 0.2 | 1.3 | -2.4 | -1.1 | 0.9 | 0.6 | -1 | -1.9 |
| 2016 | 0.3 | 1.1 | 1.1 | -0.5 | -1 | 0.4 | -0.7 | -0.4 | -0.3 | -1.5 | -0.2 | -0.7 | -2.4 |
| 2017 | -1.7 | 0.8 | -0.3 | -0.6 | 1.1 | 0.2 | 0.7 | 0.7 | -0.3 | -0.8 | 0.2 | -0.8 | -0.8 |
| 2018 | 0.8 | -0.1 | -0.1 | -1.4 | 0.8 | -0.4 | -0.3 | -0.8 | -0.5 | 0.4 | 0 | 0.4 | -1.2 |
| 2019 | -0.1 | 1 | 1.3 | -0.6 | -1.9 | 0.7 | -0.7 | 0 | -0.9 | 0.7 | -0.3 | 0.1 | -0.7 |
| 2020 | -1.5 | 0.2 | -4 | -1.5 | 1.3 | 2.1 | 1.1 | 1 | 1.7 | -1.3 | 1.7 | 0.7 | 1.3 |
| 2021 | 2 | 2.6 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-09-29 49.4 SPY 112. 0.005 0.0026 1.19e-2 -0.0235 0.108 0.0936 -0.125 <NA> NA NA NA
2 2004-09-30 49.4 SPY 112. -0.0007 0.0073 5.90e-3 -0.0104 0.118 0.0701 -0.125 <NA> NA NA NA
3 2004-10-06 51.1 SPY 115. 0.0063 0.0249 1.56e-2 0.0287 0.104 0.0668 -0.110 <NA> NA NA NA
4 2004-10-08 51.3 SPY 113. -0.0083 -0.01 3.00e-4 0.0065 0.0818 0.0561 -0.140 <NA> NA NA NA
5 2004-10-11 50.9 SPY 113. 0.0041 -0.0076 -8.00e-4 0.0099 0.0833 0.0662 -0.135 <NA> NA NA NA
6 2004-10-19 50.5 SPY 111. -0.0084 -0.0159 -1.54e-2 0.0106 0.0622 0.0287 -0.136 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
